Today, when you walk into a shop and purchase a physical CD (or any other media) it is possible to do that with reasonable anonymity. If you pay with cash, the vendor does not know who you are. If you pay by credit card, it would be possible for the vendor to track purchases made on that card, but that is generally not done. In any event, the credit card company (or your bank) does not learn exactly what product you have bought, and cannot track your usage of that product.
In a digital world, where products are delivered digitally (through downloading or streaming over the internet), the situation is somewhat different. Existing solutions (Adobe's PDF Merchant/WebBuy, IBM's Electronic Media Management System, Intertrust's MetaTrust Utility, Microsoft's Windows Media™ Rights Manager and Xerox's ContentGuard) all aim to maximise information collected about the individual, including purchase and usage information.
Recent high profile cases have highlighted how easy it is for on-line companies to assemble profiles of individuals. As an increasing amount of media is distributed over the internet, rather than physically, this problem will become worse.